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The Simple Econometrics of Tail Dependence
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TLDR
In this paper, the authors show that measures on tail dependence can be estimated in a convenient way by regression analysis, which yields the same estimates as the non-parametric method within the multivariate Extreme Value Theory framework.Abstract:
The aim of this paper is to show that measures on tail dependence can be estimated in a convenient way by regression analysis. This yields the same estimates as the non-parametric method within the multivariate Extreme Value Theory framework. The advantage of the regression approach is contained by its straightforward extension to the estimation of higher dimensional tail dependence. We provide an example on international stock markets. The regression approach to tail dependence can be applied to estimate several measures of systemic importance of financial institutions in the literature.read more
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Assessing contagion risk from energy and non-energy commodity markets
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When Diversification Fails
TL;DR: In this paper, the authors suggest that many investors still do not fully appreciate the benefits of diversification in investment management, and that diversification seems to disappear when investors need it the most.
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Analysing Systemic Risk in the Chinese Banking System
TL;DR: In this article, the authors examined systemic risk in Chinese banking system by estimating the conditional value at risk (CoVaR), the marginal expected shortfall (MES), the systemic impact index (SII), and the vulnerability index (VI) for 16 listed banks in China for the 2007-2014 period.
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Measuring and mitigating systemic risks: how the forging of new alliances between central bank and academic economists legitimize the transnational macroprudential agenda
TL;DR: This article examined the scientific debate on systemic risk and macro-prudential regulation post-crisis, focusing on the debate's impact on final regulation, and detected the formation of a new alliance between central bankers and academic economists working jointly on developing systemic risk measures.
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Stocks and bonds: Flight-to-safety for ever?
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References
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Journal ArticleDOI
Is the correlation in international equity returns constant: 1960–1990?
François Longin,Bruno Solnik +1 more
TL;DR: In this article, the authors studied the correlation of monthly excess returns for seven major countries over the period 1960-90 and found that the international covariance and correlation matrices are unstable over time.
Journal ArticleDOI
International Asset Allocation With Regime Shifts
Andrew Ang,Geert Bekaert +1 more
TL;DR: In this article, a dynamic portfolio choice problem of a U.S. investor faced with a time-varying investment opportunity set modeled using a regime-switching process is solved.
Journal ArticleDOI
Asset Market Linkages in Crisis Periods
TL;DR: In this paper, the authors characterize asset return linkages during periods of stress by an extremal dependence measure, which is not predisposed toward the normal distribution and can allow for nonlinear relationships.
Journal ArticleDOI
Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications
TL;DR: In this article, the authors present a general framework for identifying and modeling the joint-tail distribution based on multivariate extreme value theories, arguing that the multivariate approach is the most efficient and effective way to study extreme events such as systemic risk and crisis.
Posted Content
Back to the basics in banking ? A micro-analysis of banking system stability
TL;DR: The relationship between banks’ divergent strategies toward specialization and diversification of financial activities and their ability to withstand a banking sector crash is analyzed, which may explain why financial conglomerates trade at a discount.
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